pairs-trading-lab
pair lab

Pair Lab — every fit, every test, every spread.

Pick a pair from the deck below. The Lab recomputes the cointegration test, hedge ratios from three estimators, the rolling spread, the z-score signal, the OU half-life and an Amihud illiquidity score — all client-side, on every change. For KPSS, VR, Hurst, CUSUM and Johansen on the same pair, see /methods.

MEGA-WHEN · Banks

Two large-cap money-centre banks with near-identical earnings drivers. Spread mean-reverts in ~9 days.

OLS β1.007R² 0.952
ADF τ-8.49CV5% -3.34
Cointegratedyesp≈0.005
Half-life3.4bars
OU θ0.203per period
Returns ρ0.248daily log-returns
Amihud0.00worse-leg ×1e6

Charts

how to read it: Standardised spread. Bands at ±2σ and ±4σ — typical entry and stop-loss thresholds.
truth: constructed with α = 1, OU θ = 0.08, σ = 0.018 .